When Ross is playing the bagpipes to Monica, Chandler, Phoebe and Rachel,at the end of his "performance" he stops playing the bagpipes. But, when Ross stops playing, bagpipe music is still playing. Whoops!

actually if you look the sound comes off from 3 pipes of different lengths.. therefore when air was released it would still sound like music to your ears because the sound created from escaping air won't have the same tone!

I agree!
Bagpipes still have air left in them, but if you listen, you can hear the notes change like a tune.
The sound people at the friends producing company probably just added it in as music, but it did sound a bit weird!